AREC-ECON 535 - Applied Econometrics - Material
Announcements
My travel season is about to start. Plan
on the missed class meetings below and some make-up videos on ECHO360. Its the nature of my appointment with
Colorado State University.
...
Class Cancelled Days
During the Fall Semester I have a predictable set of meetings where I deliver
market outlook and market policy research to extension audiences. If I need to then I will cancel class
meetings and record a makeup video. Look
for those on Canvas and in ECHO360. Some
of my meetings may be virtual and those may be through the afternoons. If the meeting is during class then I will
cancel the class meeting and record a make-up video.
August 29-30 (T&W) 5 Rivers Applied Academy of Agribusiness Management
ARDEC Fort Collins, CO no class impact
October 3-5 (W&R&F) USDA AMS and DFA milk marketing order testimony
1 cancelled class
October 5 (F) Denver, CO @ Colorado Department of Agriculture Outlook
Committee Meeting virtual if I am traveling
October 9-11 (M&T&W) Monte Vista & Rocky Ford, CO @ Ag Lender
Meetings & Producer Workshops 1 cancelled class
October 17-18 (T&W) Akron, CO @ Ag Lender Meeting & Colorado Crop
Insurance Meeting 1 cancelled class
October 30-31 (M&T) Springdale, AR @ Beef & Cattle Markets College
Proposal 1 cancelled class
November ? (?-PM & ?-AM) Denver, CO @ Industry Outlook Conference
virtual so likely no class impact
Communication
Protocol
When you send me an email please make sure the subject line leads with
AREC 535:... or ECON 535 or AREC-ECON 535 and provides a topic.
...
Syllabus and Survey
AREC-ECON 535 Syllabus - 8/22
Overheads and Class Materials
AREC-ECON 535 Lec
A - 8/22
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B 8/24
Graphic - Example Regression
Graphic - Example Nonlinear
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C 9/1
Example OLS Matrix
Example Slutsky Restriction
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D 9/12
Lee Lemieux (JEL 2010).pdf (Regression Discontinuity. Read the document enough to understand the
concepts illustrated in Figures 1 & 2.)
(I was always a bit frightened when
the instructor assigned a JEL article.
Many can take weeks to get through.
Dont invest long unless its for your thesis/dissertation.)
Imbens-Wooldrige Lecture & Lechner
Article (Diff-in-diff.)
Regression discontinuity and
Difference-in-Differences are common specifications with the objective of
establishing causality.
AREC-ECON 535 Lec
E 9/14
Example Experimental Design
Tibshirani
(JRSS-B 1996).pdf & Tibshirani (JRSS-B 2011).pdf are a couple of papers on
LASSO.
Exam 1 will encompass the preceding
material.
AREC-ECON 535 Lec
F1 9/28
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F2 10/5
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G 10/24
Example - AR Model
Example - DL Model
Supply & Demand Elasticities are
important Equilibrium
Displacement Examples
Spatial
Econometrics Workshop Material
AREC-ECON 535 Lec
H 11/1 Previous
Guest Lecture Material
Example Panel Model
Example Random Effects
Errors
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I 11/3
Example Logit &
Probit Models
MacDonald & Moffitt,
Lin & Schmidt
Exam 2 will encompass the preceding
material.
AREC-ECON 535 Lec
S 11/14
Example - Dynamic Systems
AREC-ECON 535 Lec
T 12/5 Extra Material (Not on Final Exam)
Example
Stationary & Nonstationary Data
Example
Time Series Data
Enders Chart
Paper The Chicken or The
Egg?
Paper - Cash & Futures Efficiency
- Example of vector autoregression & co-integration
AREC-ECON 535 Lec Z -
Problem Set Material
AREC-ECON 535 Problem Set
1 9/5 - due 9/
AREC-ECON 535 Problem
Set 1 Data (Right click & Save Link As...)
AREC-ECON 535
Problem Set 1 Key 9/19
Problem Set 1 SAS Output (The output
is only if you want to see the Influential Data statistics.)
AREC-ECON 535 Problem
Set 2 9/26 - due 10/
AREC-ECON 535 Problem
Set 2 Data (Right click & Save Link As...)
AREC-ECON 535
Problem Set 2 Key 10/3
Problem Set 2 SAS Output (The output
is only if you want to see the Collinearity Diagnostics.)
AREC-ECON 535 Problem
Set 3a 10/4 - Part A due 10/23
AREC-ECON 535 Problem
Set 3b 10/17 - Part B due 10/27
AREC-ECON 535 Problem
Set 3 Part B Data (Right click & Save Link As...)
AREC-ECON 535
Problem Set 3 Key 11/2
AREC-ECON 535 Problem
Set 4 11/7 - due 11/16
AREC-ECON 535 Problem
Set 4 Data (Right click & Save Link As...)
AREC-ECON 535
Problem Set 4 Key 11/16
PS 4 Vote
Calculations Spreadsheet
PS 4 SAS Output - (The output is for
you to see contingency tables and informative graphs.)
AREC-ECON 535 Problem
Set 5 11/16 - due 12/
AREC-ECON 535 Problem
Set 5 Data (Right click & Save Link As...)
AREC-ECON 535
Problem Set 5 Key 12/5
PS 5 SAS Output - (The output is for
you to see simultaneity test.)
Assignment Related
AREC-ECON 535 Assignment
1 8/29 due 9/6
Assignment 1
Data.xlsx (Right Click & Save Link As...)
AREC-ECON 535
Assignment 1 Key 9/14
AREC-ECON 535 Assignment
2 9/13 due 9/27
AREC-ECON 535
Assignment 2 Key 9/28
AREC-ECON 535 Assignment
3 11/2 - due 11/10
AREC-ECON 535
Assignment 3 Key 11/16
AREC-ECON 535 Assignment
4 11/16 optional- due 12/8
Chickens
& Eggs.txt (Right Click & Save Link As...)
E-Views and Software
Materials
Getting
started with R -- Please notice and thank the author...
Getting
your data into E-Views -- Please notice and do not bother the author...
STATA has a multitude of links to reference & support material. There is also an abundance of YouTube
videos...
Previous Exams
AREC-ECON 535 Previous Exam 1s
10/12
AREC-ECON 535 Previous Exam 2s
11/17
Good Articles
(What to see a topic? Provide me with
some information.)
Most of what Efron writes are
difficult reads. This one is not the
case. My assessment is that econometrics
and statistics the material of this course -- remains useful even in the
world of big data and data science. This
article has several discussants, and youll have access to them through the
library website if you are interested.
The COVID pandemic is the policy and science interaction of our lifetime. What does the Lancet Commission have to say? The Lancet is not a forum for babble...
I think this is worth a read not with a highlighter but certainly worth
reading. Dave
Friedson McNichols Sabia - 2020-09 - AZI DP 13670.pdf Interesting data cell phone pings. And a study of folks that went to Sturgis in
2020 during a world-wide pandemic and then back home. Please notice Larimer versus Weld Counties on
the map. The economic benefit of the
motorcycle rally was local but the costs were far wider those benefiting from
the event did not pay the full cost. In
economics that has a name for this phenomena and perhaps you should know it
sufficiently well that you can discuss it with someone you might encounter...
Apparently some folks academics took issue with the paper above. I still think it is an interesting data
application. But here is an offered
alternative. SSRN-id3722299.pdf
Interesting. And correct. But this is also partly why people dont like
statistics or statisticians. Moving to a
World Beyond p 0.05.pdf I know p-values
are very useful and communicate both efficiently and effectively. We do need to be more wary of dependence in
data which typically inflates significance to levels much greater than the
actual population level. (For example,
you might think something is significant at the 5% level but because of the
dependence in the data it is actually significant at the 30% level in the
population which means its insignificant.)
Differences in differences is a classic approach to arguably achieve causality.
Classic work on the minimum wage and differences-in-differences
application. Card Krueger (AER 1994).pdf
Impacts of traffic congestion and the accompanying pollution and infant
health with a differences-in-differences application. Currie Walker (AEJ AE
2011).pdf
Competition among schools and measurement of benefits an instrumental
variable application this is a simultaneity topic. Hoxby
(AER 2000).pdf
Should you read this paper? Deaton Muellbauer
(AER 1980).pdf No, it is not
required. But the author was one of your
2015 Nobel Prize winners in economic sciences.
And its an econometric application on consumer demand. New stuff for 1980, in which it was
published. Standard approach today. Good economics, good econometrics, standard
tools used today and nothing you cannot understand. This is modern econometrics.
I just cant resist, Sala-I-Martin
(AER 1997).pdf.
More later...